An algorithm to solve a quantile optimization problem with loss function having a separable structure, and its application to an aerospace problem. (7th July 2019)

• Record Type: Journal Article
• Authors: Ivanov, S.V.; Kibzun, A.I.; Stepanova, A.S.
• Is Part Of: Applied stochastic models in business and industry. Volume 35:Number 5(2019)
• Page Start: 1269
• Page End: 1281
• Publication Date: 2019-07-07
• Subjects: quantile objective -- runway -- sample average approximation -- variable neighborhood search; Stochastic analysis -- Periodicals; Stochastic processes -- Periodicals; Business mathematics -- Periodicals; Finance -- Mathematical models -- Periodicals; Industrial management -- Mathematical models -- Periodicals; 338.00151923
• DOI: 10.1002/asmb.2475
• Languages: English
• ISSNs: 1524-1904

Abstract

Abstract: A quantile minimization problem with loss function having separable structure is considered. The distribution of the random parameters is assumed to be normal. To solve the problem, the confidence method and the sample average approximation method are used. Thus, the problem is reduced to a combinatorial one, which is solved by using the variable neighborhood search. The suggested algorithm is applied to optimization of runway area. Parameters of the runway are selected to minimize the area taking into account random wind speed.